scholarly journals Does Active Management Add Value? The Brazilian Mutual Fund Market

2009 ◽  
Author(s):  
William Eid Jr. ◽  
Ricardo R. Rochman
Keyword(s):  
Mutual Fund ◽  
Active Management

Fund Manager Performance in Emerging Market: Factor Specialisation and Financial Crisis Impact

2018 ◽  
Vol 17 (1) ◽  
pp. 130-158
Author(s):  
Giuseppe Galloppo ◽  
Mauro Aliano
Keyword(s):  
Mutual Fund ◽  
Emerging Market ◽  
Explanatory Power ◽  
Tracking Error ◽  
Active Management ◽  
Market Model ◽  
Good Representation ◽  
Local Factor ◽  
Equity Funds ◽  
Fama And French

In the branch of literature dealing with analysis of the consistency of management styles, this article investigates the relation between portfolio concentration and the performance of emerging market equity funds. Unlike previous studies, on global and US mutual fund, we focus on emerging markets equity, finding funds with higher levels of tracking error, display lower performance than funds with less diversified portfolios when we do not take into account specific concentration in holdings in different multifactor style. The explanatory power of local models that use local explanatory returns is recently investigated by De Groot, Pang and Swinkels (2012), Cakici, Fabozzi and Tan (2013) and Fama and French (2012). Following the same research line, the most remarkable finding of this article is that the fund-picking process, only based on the level of track error from a broad benchmark, can contribute to disappointing results when it is not also accompanied by information about the fund concentration in multiple market segment. According to the previous work, overall, we found that local factor market model provides quite good representation of local average returns for portfolios formed on size and style factors. The contribution of this research is two-fold. First, we examined emerging market funds from the perspective of active management and second, under the effect of strategies mentioned in Huij and Derwall (2011). Moreover, as additional analysis with respect to most of the previous papers, we also tested the effects of the crisis that we found to have not affected the main result.

Copycat Funds: Information Disclosure Regulation and the Returns to Active Management in the Mutual Fund Industry

2004 ◽  
Vol 47 (2) ◽  
pp. 515-541 ◽  
Author(s):  
Mary Margaret Frank ◽  
James M. Poterba ◽  
Douglas A. Shackelford ◽  
John B. Shoven
Keyword(s):  
Mutual Fund ◽  
Information Disclosure ◽  
Active Management ◽  
Disclosure Regulation ◽  
Fund Industry ◽  
Mutual Fund Industry

Determinants of return rates of Russian equity and bond mutual funds: Active investment strategies and commissions

2020 ◽  
pp. 40-60
Author(s):  
T. V. Teplova ◽  
T. V. Sokolova ◽  
A. Fasano ◽  
V. A. Rodina
Keyword(s):  
Mutual Funds ◽  
Mutual Fund ◽  
Management Style ◽  
Active Management ◽  
Investment Strategies ◽  
Russian Market ◽  
Return Rates ◽  
Equity Mutual Funds ◽  
Bond Mutual Funds ◽  
First Time

In our paper, we study the impact of active investment strategies and factors of their success in the Russian market of collective investment — self-confidence of managers, commissions of management companies (MC) — on return rates of mutual funds. For the first time, not only equity mutual funds, but also bond mutual funds are considered as an object of study; the time period is since 2012. Our study is based on data on the structure of mutual fund portfolios provided by Investfunds. We propose a number of original indicators of an active management style and consider the profitability of mutual funds relative to various benchmarks. Based on testing of multivariate regression models, it has been revealed that the return rate of equity mutual funds is negatively affected by a share of stocks in the fund portfolio which are not included in the market index. When managers take into account their previous negative investment experience, it contributes to the growth of mutual fund return rates. Active investment strategies correlate with increased commissions (up to 4.5% of NAV), but they do not allow an investor to receive higher return rates than index investments. An increase in the share of corporate bonds allows the fund manager to outperform benchmarks for bond funds. For the first time, a nonlinear relationship between the size of mutual funds and the value of commissions has been revealed for the Russian market.

scholarly journals Market Timing and Selectivity: An Empirical Investigation of European Mutual Fund Performance

2018 ◽  
Vol 11 (2) ◽  
pp. 1 ◽  
Author(s):  
Luís Oliveira ◽  
Tomás Salen ◽  
José Dias Curto ◽  
Nuno Ferreira
Keyword(s):  
Mutual Fund ◽  
Market Timing ◽  
Management Strategies ◽  
Fund Performance ◽  
Active Management ◽  
Superior Performance ◽  
Fund Managers ◽  
Equity Mutual Funds ◽  
Overall Performance ◽  
European Equity

Using the models proposed by (Treynor & Mazuy, 1966; Henriksson & Merton, 1981), the present study examines the selection and timing abilities of mutual fund managers to denote the practice of these strategies as a means to achieve superior performance. For the 163 European equity mutual funds that followed active management strategies between January 2000 and December 2016, there was no evidence that fund managers used market timing abilities to anticipate the market movements. However, the selectivity component of returns presents slightly positive results, despite the poor overall performance.

scholarly journals Performance Appraisal of Asset Management Companies in Bangladesh

2019 ◽  
Vol 11 (8) ◽  
pp. 53
Author(s):  
Avijit Mallik ◽  
Saad Niamatullah ◽  
Swarup Saha
Keyword(s):  
Performance Appraisal ◽  
Mutual Funds ◽  
Asset Management ◽  
Mutual Fund ◽  
Active Management ◽  
Index Funds ◽  
Small Investors ◽  
Zero Sum ◽  
Managed Funds ◽  
Asset Managers

Mutual funds are a type of collective investment scheme where a large number of small investors pool their savings together and entrust it to an asset manager, who manages the capital to maximize returns in exchange for a management fee. While mutual funds and other collective investment schemes are popular in developed markets, with assets under management (AUM) to GDP ratio of 62% globally, they are yet to gain popularity in Bangladesh, where AUM-to-GDP ratio stands at only 0.53%. However, mutual funds and asset management companies have been growing at high rates, with 37 closed-end and 42 open-end funds now in operation, and there is enormous potential for growth in the mutual fund industry in Bangladesh. Since mutual funds are a new product in the Bangladeshi market, a detailed study was performed in order to distinguish skilled asset managers from unskilled asset managers. In this study, “skill” has been defined as the ability to beat the broad-market DSEX index on after-fee basis, with the underlying logic that managers - all of whom charge a management fee - should at least be able to beat a passive investment in the broad DSEX. For purposes of the study, the weekly NAV at market value was of 76 mutual funds managed by 16 asset management companies (AMCs) were collected. The weekly returns for the DSEX and each fund under consideration were calculated separately. Four well-known measures were used to rank each mutual fund utilizing the weekly returns. The measures were Jensen’s Alpha, the Sharpe Ratio, the Treynor Ratio and the Modigliani M2 Alpha ratio. For AMCs managing multiple funds, the measures were asset-weighted to calculate the measure for the AMC as a whole. Our findings illustrated that only 5 out of 16 AMCs managed to beat the DSEX index and earn an alpha over the benchmark. Our findings were in line with academic consensus which states that active management is a zero-sum game and that the majority of actively managed funds will underperform the index on an after-fee basis. Our recommendation is for AMCs to introduce passively-managed index funds which will at least keep up with the market return and minimize fees and trading costs.

Index Fund Entry and Financial Product Market Competition

2020 ◽  
Author(s):  
Yang Sun
Keyword(s):  
Mutual Fund ◽  
Low Cost ◽  
Market Competition ◽  
Active Management ◽  
Fund Flows ◽  
Cost Index ◽  
Index Funds ◽  
The Mean ◽  
Staggered Entry ◽  
Managed Funds

The active money management industry is characterized by both strong competitive pressure from passive investment vehicles and high fees. This paper investigates how the introduction of low-cost index funds affects fund company strategies. The retail mutual fund market is segmented, where unsophisticated investors rely on financial advisers and sophisticated ones invest directly. Exploiting the staggered entry of low-cost Vanguard index funds as competitive shocks, I show that, in response to competition, incumbents sold to self-directed investors reduce their fees by 5% of the mean; however, funds sold with broker recommendations increase their fees by 6% of the mean. Index fund entry also slows the growth of actively managed funds. The responsiveness of broker-sold fund flows to distribution fees increases, suggesting a shift in composition toward less elastic consumers. Further, incumbents increase the degree of active management. The results illustrate why mutual fund fees slowly decline in the aggregate despite competition from lower-cost alternatives. This paper was accepted by Gustavo Manso, finance.

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